STIR: Just Under 110bp OF ECB Cuts Priced Through ’25, CPI Data Eyed Next Week
Hawkish repricing in EUR STIRs today, which stands out given the lack of meaningful movement in U.S. & UK equivalents (covered in greater detail earlier).
- ECB-dated OIS now shows ~108bp of cuts through year-end, with the pricing of cuts very much frontloaded.
- ~91bp of easing showing through June and outside chances of 50bp steps priced across the next two ECB decisions.
- Euribor futures 2.0-8.0 lower, with the late whites and early reds leading the move.
- Markets continue to price a sharper ECB cutting cycle through ’25, when compared to both the Fed & BoE.
- Fundamentals and relative central bank justify those spreads, with tariff & growth worries further amplifying the divergence in pricing.
- December’s preliminary Eurozone CPI data (Tuesday) headline’s next week regional release calendar.
- Our full preview of that release can be found here.
ECB Meeting | €STR ECB-Dated OIS (%) | Difference Vs. Current Effective €STR Rate (bp) |
Jan-25 | 2.650 | -27.0 |
Mar-25 | 2.356 | -56.4 |
Apr-25 | 2.147 | -77.3 |
Jun-25 | 2.009 | -91.1 |
Jul-25 | 1.959 | -96.1 |
Sep-25 | 1.894 | -102.6 |
Oct-25 | 1.864 | -105.6 |
Dec-25 | 1.836 | -108.4 |
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STIR: SOFR Option Update
- +12,000 SFRM5 96.00/96.25 call spds vs 0QM5 97.25 calls 0.25 net/cvrd
- -5,000 SFRZ4 95.56/95.62/95.68 call flys, 2.25 ref 95.585
- +1,000 SFRH5 95.81/0QH5 96.25 straddle strip, 80.25
- -2,000 SFRM5 96.00 straddles, 51.5 ref 9598.5
- -4,000 SFRM5 95.50/96.00 3x1 put spds ref 9599
- Earlier Block confirmed as sale of 9,000 SFRH5/M5/U5 97.50/98.50 1x2 call spd strip, 3.5 net package
AUD: FX Exchange traded Options
FX Exchange traded Options, these look to be new positions, looking for AUD strength, covers the next three RBA rate meetings:
- AUDUSD (4th April) 63.00p, sold at 0.95 in 1.23k.
- AUDUSD (4th April) 62.5p sold at 0.79 in 1k.
EQUITY TECHS: E-MINI S&P: (Z4) Bulls Remain In The Driver’s Seat
- RES 4: 6145.26 1.236 proj of the Aug 5 - Sep 3 - 6 price swing
- RES 3: 6103.88 1.500 proj of the Sep 6 - 17 - 18 price swing
- RES 2: 6100.00 Round number resistance
- RES 1: 6086.00 Intraday high
- PRICE: 6082.75 @ 14:22 GMT Dec 4
- SUP 1: 5970.46 20-day EMA
- SUP 2: 5883.29 50-day EMA
- SUP 3: 5814.75 Low Nov 6
- SUP 4: 5724.25 Low Nov 4 and a key support
The S&P E-Minis contract maintains a bullish tone and has again traded to a fresh cycle high, today. This confirms a resumption of the uptrend and signals scope for a continuation near-term. Note that moving average studies are in a bull-mode set-up, highlighting a dominant uptrend and positive market sentiment. Sights are on the 6100.00 handle next. Initial support to watch lies at 5979.30, the 20-day EMA.
